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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September RBOB Gasoline(NYM) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   14 26 28 31 31 32 33 34 34 34 34
Closed Higher   6 14 13 17 17 19 26 25 19 16 20
Exceeded High   6 9 12 16 15 17 23 22 16 14 18
Scenario Percentage   100% 64% 92% 94% 88% 89% 88% 88% 84% 88% 90%
Avg Max Increase   7.66% 7.98% 9.35% 8.63% 12.28% 11.83% 10.92% 9.41% 7.57% 13.60% 15.12%
Max Increase   16.67% 13.18% 20.78% 19.30% 30.40% 23.87% 29.60% 39.34% 13.06% 59.71% 77.71%
Avg Days To Max Increase   17 26 17 18 19 19 16 16 17 16 20
Avg Max Decline   -0.76% -2.29% -1.00% -1.07% -3.55% -2.25% -3.07% -2.44% -4.40% -4.17% -2.08%
Max Decline   -1.81% -7.54% -7.53% -7.48% -16.73% -13.47% -9.33% -10.88% -12.09% -15.86% -8.58%
Avg Days to Max Decline   6 11 8 10 9 9 6 7 12 10 5
2018 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes Yes    
Action   Yes Yes Yes Yes Yes   Yes Yes No    
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   14 26 28 31 31 32 33 34 34 34 34
Closed Lower   8 12 15 14 14 13 7 9 15 18 14
Penetrated Low   7 10 12 9 8 5 5 7 11 10 9
Scenario Percentage   88% 83% 80% 64% 57% 38% 71% 78% 73% 56% 64%
Avg Max Decline   12.67% 13.67% 13.17% 15.17% 11.68% 9.24% 7.08% 8.78% 10.41% 9.91% 10.67%
Max Decline   48.31% 38.42% 26.77% 38.53% 37.23% 21.49% 12.85% 21.11% 19.59% 20.50% 23.81%
Avg Days To Max Decline   11 16 19 14 15 14 7 17 19 16 17
Avg Max Increase   -1.09% -1.51% -0.38% -1.78% -0.62% -3.28% -1.76% -3.44% -1.80% -3.06% -1.62%
Max Increase   -6.16% -5.28% -6.38% -5.91% -6.05% -8.64% -5.04% -7.50% -9.98% -9.82% -5.05%
Avg Days to Max Increase   3 5 6 5 4 14 9 17 9 6 4
2018 Contract Condition             Yes       Yes Yes
Action             No       No Yes
High 163.53 171.61 179.05 185.94 192.28 200.37 199.64 200.99 211.09 224.70 214.92 215.31
Low 155.14 161.65 165.11 177.32 179.33 190.10 178.40 181.30 190.23 202.89 196.64 197.15
Close/Last 163.53 167.98 179.05 182.88 191.77 197.48 187.34 197.97 209.13 214.00 213.21 208.05

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